As crises de mercado e os alfas dos fondos axustados ao índice de referencia nun contexto de mercados pequenos

  1. Fernando Lopes 1
  2. Paulo Leite 1
  3. Maria Carmo Correia 1
  4. Pablo Durán-Santomil 2
  1. 1 Polytechnic Institute of Cávado and Ave Portugal
  2. 2 Universidade de Santiago de Compostela
    info

    Universidade de Santiago de Compostela

    Santiago de Compostela, España

    ROR https://ror.org/030eybx10

Revista:
Revista galega de economía: Publicación Interdisciplinar da Facultade de Ciencias Económicas e Empresariais

ISSN: 1132-2799

Ano de publicación: 2023

Volume: 32

Número: 3

Páxinas: 69-85

Tipo: Artigo

DOI: 10.15304/RGE.32.3.9140 DIALNET GOOGLE SCHOLAR lock_openAcceso aberto editor

Outras publicacións en: Revista galega de economía: Publicación Interdisciplinar da Facultade de Ciencias Económicas e Empresariais

Resumo

Este traballo investiga o impacto da utilización de alfas axustados aos índices de referencia para avaliar o rendemento dos fondos de investimento de mercados pequenos, que invisten en renda variable nacional e europea. Para o período 2000-2020, os nosos resultados mostran que os índices de referencia dos fondos presentan alfas significativamente negativos, o que conduce a unha subestimación do rendemento dos fondos de investimento cando se empregan modelos estándar. Como resultado, os alfas axustados aos índices de referencia son significativamente superiores aos non axustados para ambas as categorías de fondos, aínda que as diferenzas son maiores para os fondos nacionais que para os europeos. Tamén observamos que o impacto do procedemento de axuste do índice de referencia depende dos estados do mercado. O índice de referencia nacional (europeo) exhibe uns alfas considerablemente menores (maiores) durante períodos de crises que durante os períodos sen crises. Durante as crises de mercado, as diferenzas entre os alfas anteriores e posteriores ao axuste só son estatisticamente significativas no caso dos fondos nacionais, mentres que durante os períodos sen crises ambas as categorías de fondos mostran melloras significativas de rendibilidade. Os nosos resultados suxiren que o procedemento de axuste do índice de referencia ten un maior impacto cando os índices de referencia presentan unha maior concentración.

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